Monthly Schedule M-SRWA 12b (CRM.2): Credit Risk Mitigation (Comprehensive Approach)

BANK OF BOTSWANA - BANKING SUPERVISION DEPARTMENT

Report Date: 2025-09-26
Summary Table
Detail Table
Line no. Exposure Class Exposures before CRM Specific Provisions for Past Due Exposures (P'000) Amount Eligible for On-balance Sheet Netting Total Exposure after Netting Credit Risk Mitigation (CRM) using the Substitution Approach Credit Risk Mitigation (CRM) using the Comprehensive Approach Risk-Weighted Assets
Non Collateralised Exposures Collateralised Exposures
Exposures eligible for CRM under the Substitution Approach Guarantees by Eligible Guarantors Credit Derivatives Exposures Covered by CRM Eligible Exposures not Covered by CRM Risk Weighted Assets Exposures Eligible for CRM under the Comprehensive Approach Exposures after Volatility Adjustment Eligible Financial Collateral After Haircuts
Risk-Weights of the CRM RWA of Exposures Covered by CRM Risk-Weights of Origional Counterparties RWA of Exposures Not Covered by CRM Cash (including CoDs) Treasury Bills (Government of Botswana / BoB) Debt Securities Equities Unit Trust / Mutual Funds (Main Index Only) Total Collateral after haircuts Exposure value after CRM RWA of Exposures Not Covered by CRM Unsecured Exposure subject to Credit Risk RWA of unsecured expsure Total Risk Weighted Assets
Part A: Risk-Weighted Amounts (On-Balance Sheet Exposures (1) (2) (3) (4)=(1)-(2)-(3) (5) (6) (7) (8)=(6)+(7) (9)=(5)-(8) (10) (11) = (8) x (10) (12) (13)= (9) x(12) (14) (15) (16) (17) (18) (19) (20) (21)SUM(16) to (20) (22)=(15)-(21) (23) = (22) x (12) (24)=(4)-(5)-(14) (25)=(24)x(12) (26)=(11)+(13)+(23)+25
1 Portfolio I: Claims on Sovereign or Central banks
Preforming Loans:
2 Exposures to the Government of Botswana and Bank of Botswana 0%
3 Exposure assigned credit quality grade of AAA to AA- 0%
4 Exposures assigned credit quality grade of A+ to A- 20%
5 Exposures assigned credit qualiity gade of BBB + to BBB-. 50%
6 Exposures assigned credit quality grade of BB+ to B- or unrated. 100%
7 Exposure assigned credit quality grade of below B-. 150%
Non-Performing Loans
8 Past due exposure where specific provision is less than 20% of the loan. 150%
9 Past due exposure where specific provision between 20% and 50% of outstanding loan of the loan. 100%
10 Past due exposure where specific provision is more than 50% of the outstanding loan. 50%
11 Sub-total (Line 2-10)
12 Portfolio II: Claims on Public Sector Entities (PSEs) - one risk weight less favourable than sovereign
Preforming Loans:
13 Claims on Domestic Public Sector Entities 20%
14 Soverign credit risk assessement rating of AAA to AA-. 20%
15 Soverign credit risk assessement rating of A+ to A- 50%
16 Soverign credit risk assessement rating of BBB+ to BBB- or unrated . 50%
17 Soverign credit risk assessement rating of BB+ to B- 100%
18 Soverign credit risk assessement rating of below B-. 150%
Non-Performing Loans
19 Past due exposure where specific provision is less than 20% of the loan. 150%
20 Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan. 100%
21 Past due exposurer where specific provision is more than 50% of the outstanding loan. 50%
22 Sub-total (Line 13-21)
23 Portfolio III: Claims on Exposure to BIS and IMF
24 Claims on Exposure to BIS and IMF
25 Portfolio IV: Claims on Multilateral Development Banks MDBs)
Preforming Loans:
26 Exposures to highly rated MDBs as per para 7.20 of the Capital Measurement and Capital Directive 0%
27 Exposure assigned a credit assessment rating of AAA to AA-. 20%
28 Exposure assigned a credit assessment rating of A+ to A-. 50%
29 Exposure assigned a credit assessment rating of BBB+ to BBB- or unrated MDBs. 50%
30 Exposure to MDBs assigned a credit assessment rating of BB+ or B-. 100%
31 Exposures assigned credit quality grade of below B-. 150%
Non-Performing Loans
32 Past due exposure where specific provision is less than20% of the loan. 150%
33 Past due exposure where specific provision betwee 20% and 50% of ouutstanding loanof the loan. 50%
34 Past due exposurer where specific provision is more than 50% of the outstanding loan. 50%
35 Sub-total (Line 26 - 34)
36 Portfolio V: Claims on Banks - one risk weight less favourable than sovereign
Preforming Loans:
37 Claims on Domestic Banks 20%
38 Soverign credit risk assessement rating of AAA to AA-. 20%
39 Soverign credit risk assessement rating of A+ to A- 50%
40 Soverign credit risk assessement rating of BBB+ to BBB- or unrated . 100%
41 Soverign credit risk assessement rating of BB+ to B- 100%
42 Soverign credit risk assessement rating of below B-. 150%
Non-Performing Loans
43 Past due exposure where specific provision is less than 20% of the loan. 150%
44 Past due exposure where specific provision betwee 20% and 50% of ouutstanding loanof the loan. 100%
45 Past due exposurer where specific provision is more than 50% of the outstanding loan. 50%
46 Sub-total (Line 37 - 45)
47 Portfolio VI: Claims on Security Firms
Preforming Loans:
48 Claims on security firms assigned a credit assessment rating of AAA to AA-. 20%
49 Claims on security firms assigned a credit assessment rating of A+ to A-. 50%
50 Claims on security firms assigned a credit assessment rating of BBB+ to BB- 100%
51 Claims on security firms assigned a credit assessment rating below BB- 150%
52 Unrated security firms 100%
Non-Performing Loans
53 Past due exposure where specific provision is less than 20% of the loan. 150%
54 Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan. 100%
55 Past due exposurer where specific provision is more than 50% of the outstanding loan. 50%
56 Sub-total (Line 48 - 55)
57 Portfolio VII: Claims on Corporates
Preforming Loans:
58 Claims to corporates assigned a credit assessment of AAA to AA-. 20%
59 Claims to corporates assigned a credit assessment of A+ to A-. 50%
60 Claims to corporates assigned a credit assessment of BBB+ or BB- or unrated corperate client. 100%
61 Claims to corporates assigned a credit assessment rating of below BB- 150%
Non-Performing Loans
62 Past due exposure where specific provision is less than 20% of the loan. 150%
63 Past due exposure where specific provision is equal to or greater than 20% but less than 50% of the loan. 100%
64 Past due exposure where specific provision is equal to 50% or more of the loan. 50%
65 Sub-total (58-64)
66 Portfoli VIII: Claims Included in the Retail Portfolios
Preforming Loans:
67 Retail exposures that fully comply with conditions set out in para 7.26 of the Capital Directive 75%
68 Retail exposures not complying with conditions referred to under item 67 of this return. 100%
Non-Performing Loans
69 Past due exposure where specific provision is less than 20% of the loan. 150%
70 Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan. 100%
71 Past due exposurer where specific provision is more than 50% of the outstanding loan. 50%
72 Sub-total (67-71)
73 Portfoli IX: Claims Secured by Residential Mortgage Property
Preforming Loans:
74 Claims fully secured by residential mortgage property that fully comply with para 7.28 of the Capital Measurement and Capital Directive. 35%
75 Unsecured portion of exposure in excess of 90 percent regulatory loan-to-value limits. 75%
76 Other Residential Mortgages not meeting conditions of para 7.28 of the Capital Measurement and Capital Directive 75%
Non-Performing Loans
77 (a) Past due (qualifying mortage loans ) for more than 90 days and specific provision is less than 20% of the loan. 100%
78 (b) Past due (qualifying mortgage loans) for more than 90 days and specific provision is more than 20% of the loan. 50%
79 (i) Past due non-qualifying exposure where specific provision is less than 20% of the loan. 150%
80 (ii) Past due non-qualifying exposure where specific provision is equal to or greater than 20% but less than 50% of the loan. 100%
81 (iii) Past due non-qualifying exposure where specific provision is equal to 50% or more of the loan. 50%
82 Sub-total (74-81)
83 Portfolio X: Claims Secured by Commercial Real Estate
Preforming Loans:
84 Claims fully secured by mortgage on commercial real estate. 100%
Non-Performing Loans
85 Past due exposure where specific provision is less than 20% of the loan. 150%
86 Past due exposure where specific provision is equal to or greater than 20% but less than 50% of the loan. 100%
87 Past due exposure where specific provision is equal to 50% or more of the loan. 50%
88 Sub-total (Line 84-87)
89 Portfolio XI: Other Assets
90 Cash, gold, coins, bullion, foreign notes & coins, statutory reserve with Bank of Botswana. 0%
91 Cash in transit. 20%
92 Venture Capital and Private Equity Investments 150%
93 Investment equity or regulatory capital instruments issued by unconsolidated financial institutions (banks or security firms) 250%
94 Mortgage Service Rights 250%
95 Deferred Tax Assets (DTAs) 250%
96 Investment in commercial entities 1250%
97 Other Assets (including bank premises, plant and equipment, other fixed assets and all other assets) 100%
98 Sub-total (Line 90-97)
99 TOTAL ON-BALANCE SHEET RISK-WEIGHTED AMOUNT

*** Past-Due Exposures:
Report only unsecured
portion of exposures past-
due for more than 90 days.

Credit Risk Mitigation (CRM) using the Substitution Approach Credit Risk Mitigation (CRM) using the Comprehensive Approach Risk-Weighted Assets
CEA Eligible for CRM under the Substitution Approach Non Collateralised Off-Balance Sheet Exposures Collateralised Exposures
Guarantees by Eligible Guarantors Credit Derivatives Exposures Covered by CRM Eligible Exposures not Covered by CRM Risk Weighted Assets CEA eligible for CRM under the Comprehensive Approach CEA after Volatility Adjustment Eligible Financial Collateral After Haircuts
100 PART B : RISK WEIGHTED AMOUNTS (OFF BALANCESHEET EXPOSURE) Nominal Principal Amount Credit Conversion Factor (CCF) (percent) Credit Equivalent Amount (3)=(1)x(2) CEA Eligible Counterparty for bilateral netting CEA after Netting Risk-Weights of the CRM RWA of Exposures Covered by CRM Applicable Risk-Weights of Origional Counterparties RWA of Exposures Not Covered by CRM Cash (including CoDs) Treasury Bills (Government of Botswana / BoB) Debt Securities Equities Unit Trust / Mutual Funds (Main Index Only) Total Collateral after haircuts CEA value after CRM RWA of CEA Not Covered by CRM Unsecured CEA subject to Credit Risk RWA of unsecured CEA Total Risk Weighted Assets
(1) (2) (3)=(1)x(2) (4) (5)=(3)-(4) (6) (7) (8) (9)=(7)+(8) (10)=(6)-(9) (11) (12)=(9)x(11) (13) (14)=(10)x(13) (15) (16) (17) (18) (19) (20) (21) (22)=SUM(17) to (21) (23)=(16)-(22) (24) = (23) x (13) (25)=(5)-(6)-(15) (26)=(25)x(13) (27)=(12)+(14)+(24)+(26)
101 Commitments
102 Original maturity of up to one year. 0%
103 Sovereign or Central Banks 0% 0%
104 Public Sector Entities 0% 0%
105 Multilateral Development Banks 0% 0%
106 Security Firms 0% 0%
107 Corporates 0% 0%
108 Retail Portfolios 0% 0%
109 Other Assets 0% 0%
110 Original maturity of more than one year. 0% 0%
111 Sovereign or Central Banks 0% 0%
112 Public Sector Entities 0% 0%
113 Multilateral Development Banks 0% 0%
114 Security Firms 0% 0%
115 Corporates 0% 0%
116 Retail Portfolios 0% 0%
117 Other Assets 0% 0%
118 Any solicitation limit, that is, a facility not yet contracted. 0% 0%
119 Commitments that are unconditionally cancellable at any time without prior-notice or that effectively provide for automatic cancellation due to a deterioration in a borrower's credit worthiness. 0% 0%
120 Direct credit substitute e.g. general guarantees of indebtedness (including stand-by letter of credit serving as financial guarantees for loans and securities) and acceptance. 0% 0%
121 Sovereign or Central Banks 0% 0%
122 Public Sector Entities 0% 0%
123 Multilateral Development Banks 0% 0%
124 Security Firms 0% 0%
125 Corporates 0% 0%
126 Retail Portfolios 0% 0%
127 Other Assets 0% 0%
128 Repurchase type of transactions involving security borrowing and lending. 0% 0%
129 Sovereign or Central Banks 0% 0%
130 Public Sector Entities 0% 0%
131 Multilateral Development Banks 0% 0%
132 Security Firms 0% 0%
133 Corporates 0% 0%
134 Retail Portfolios 0% 0%
135 Other Assets 0% 0%
136 Lending of bank's security or the posting of security as collateral by banks including instances where these arise out of repo-style transactions: 0% 0%
137 Sovereign or Central Banks 0% 0%
138 Public Sector Entities 0% 0%
139 Multilateral Dexetopment Banks 0% 0%
140 Security Firms 0% 0%
141 Corporates 0% 0%
142 Retail Portfolios 0% 0%
143 Other Assets 0% 0%
144 Sales and repurchase agreement and assets sale with recourse where the credit risk remain with the bank: 0% 0%
145 Sovereign or Central Banks 0% 0%
146 Public Sector Entities 0% 0%
147 Multilateral Development Banks 0% 0%
148 Security Firms 0% 0%
149 Corporates 0% 0%
150 Retail Portfolios 0% 0%
151 Other Assets 0% 0%
152 Forward assets purchase, forward deposits and partly paid shares and securities which represent commitment with certain draw down: 0% 0%
153 Sovereign or Central Banks 0% 0%
154 Public Sector Entities 0% 0%
155 Multilateral Development Banks 0% 0%
156 Security Firms 0% 0%
157 Corporates 0% 0%
158 Retail Portblios 0% 0%
159 Other Assets 0% 0%
160 Placement of forward deposits 0% 0%
161 Sovereign or Central Banks 0% 0%
162 Public Sector Entities 0% 0%
163 Multilateral Development Banks 0% 0%
164 Security Firms 0% 0%
165 Corporates 0% 0%
166 Retail Portfolios 0% 0%
167 Other Assets 0% 0%
168 Partly paid shares and securities 0% 0%
169 Sovereign or Central Banks 0% 0%
170 Public Sector Entities 0% 0%
171 Multilateral Development Banks 0% 0%
172 Security Firms 0% 0%
173 Corporates 0% 0%
174 Retail Portfolios 0% 0%
175 Other Assets 0% 0%
176 Certain transaction-related contigent items such as performance bonds, bid bonds,warrantees and stand by letters of credit related to particular transactions. 0% 0%
177 Sovereign or Central Banks 0% 0%
178 Public Sector Entities 0% 0%
179 Multilateral Dexelopment Banks 0% 0%
180 Security Firms 0% 0%
181 Corporates 0% 0%
182 Retail Portblios 0% 0%
183 Other Assets 0% 0%
184 Note issuance facilities and revolivng underwriting facilities . 0% 0%
185 Sovereign or Central Banks 0% 0%
186 Public Sector Entities 0% 0%
187 Multilateral Dexeloprnent Banks 0% 0%
188 Security Firms 0% 0%
189 Corporates 0% 0%
190 Retail Portblios 0% 0%
191 Other Assets 0% 0%
192 Short-term self•liquidating trade LCs/ Trade related contigent items (origional maturity <6 mths 0% 0%
193 Soverign or Central Banks 0% 0%
194 Public Sector Entities 0% 0%
195 Multilateral Development Banks 0% 0%
196 Security Firms 0% 0%
197 Corporates 0% 0%
198 Retail Portfolios 0% 0%
199 Other Assets 0% 0%
200 Off-balance sheet exposures other than the exposures specified above. 0% 0%
201 Sovereign or Central Banks 0% 0%
202 Public Sector Entities 0% 0%
203 Multilateral Development Banks 0% 0%
204 Security Firms 0% 0%
205 Corporates 0% 0%
206 Retail Portfolios 0% 0%
207 Other Assets 0% 0%
208 OTC Derivative transactions and credit derivative contracts (M-SRWA 12d)
209 Total Failed Trades (sum Unsettled non-DvP trades and Failed non-DvP Trades) (M-SRWA 12c)
210 TOTAL OFF-BALANCE SHEET RlSK•WElGHT AMOUNT 0% 0%
211 TOTAL RISK WEIGHTED ASSETS 0% 0%